The set screw is the early version. The screw pushes against a notch in the threaded protion of the cylinder in the tightening direction.
This was later done away with. I would not remove the cylinders from the heads. You have to use a strap wrench and internal collet to hold it. You will have to replace the head gaskets if you remove the heads.
To remove the nuts you can actually remove the rockers and push rods then the push rod tubes will come off by pushing them in one direction, towards the head I think. I don't have one to look at here, I am at home right now, but I know it will push in one direction or the other and pop out.
Be sure to see the exploded view at
http://www.mecoa.com/kavan/eng_parts.htm